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Your search keyword '"Dvořák, Marek"' showing total 3 results
Start Over Author "Dvořák, Marek" Topic hypotheses testing
3 results on '"Dvořák, Marek"'

1. Stability in Autoregressive Time Series Models

Author

Dvořák, Marek, Prášková, Zuzana, Hušková, Marie, and Picek, Jan

Subjects
change-point, věrohodnost, likelihood, hypotheses testing, weak dependence, slabá závislost, testování hypotéz, asymptotické rozdělení, asymptotic distribution
Abstract

The main subject of this thesis is a change point detection in stationary vector autoregressions. Various test statistics are proposed for the retrospective break point detection in the parameters of such models, in particular, the derivation of their asymptotic distribution under the null hypothesis of no change. Testing procedures are based on the maximum like- lihood principle and are derived under normality, nevertheless the asymptotic results are valid for broader class of distributions and involve also the models with certain form of dependence. Simulation studies document the quality of the results.

Published
2015

2. Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models.

Author

Dvořák, Marek

Subjects
*MATHEMATICAL proofs, *ANALYSIS of variance, *DISTRIBUTION (Probability theory), *VECTOR analysis, *STATISTICAL models
Abstract

The aim of this article is the construction of the test statistic for the detection of changes in vector autoregressive (AR) models where both AR parameters and the variance matrix of the error term are the subjects of a change. The approximating distribution of the proposed statistic is the Gumbel distribution. The proof stands on the approximation of weakly dependent random vectors by independent ones and by application of Horváth’s extension of Darling-Erdös extremal result for random vectors, see Darling and Erdös (1956) and Horváth (1993). The test statistic is a modification of the likelihood ratio. [ABSTRACT FROM PUBLISHER]

Published
2017
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3. On Testing Changes in Autoregressive Parameters of a VAR Model.

Author

Dvořák, Marek and Prášková, Zuzana

Subjects
*VECTOR autoregression model, *PARAMETER estimation, *HYPOTHESIS, *APPROXIMATION theory, *STATISTICAL research, *MATHEMATICAL analysis, *NUMERICAL analysis
Abstract

The article deals with the problem of testing a change in autoregressive matrices of the p-th order vector autoregressive process, VAR(p). The proposed test statistics are based on the likelihood ratio concept and are studied under the null hypothesis of no change in parameters. Their asymptotic behavior is derived under minimal moment assumptions in both cases where the time point of possible change is known a priori and is undefined. The Gumbel-type approximation of the test statistic is also developed, which previous papers on VAR(p) models do not cover. [ABSTRACT FROM AUTHOR]

Published
2013
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